Deutsche Bank 12th Annual Swiss Equities Conference. Mark Swallow Chief Financial Officer, Reinsurance EMEA Zurich, 18 May 2011

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1 Deutsche Bnk 12th Annul Swiss Equities Conference Mrk Swllow Chief Finncil Officer, Reinsurnce EMEA Zurich, 18 My 2011

Introduction to Swiss Re 2 Swiss Re Swiss Re is leding nd highly diversified globl re/insurnce compny 147 yers of experience in providing wholesle re/insurnce nd risk mngement solutions.

2 Introduction to Swiss Re 2 Swiss Re Swiss Re is leding nd highly diversified globl re/insurnce compny 147 yers of experience in providing wholesle re/insurnce nd risk mngement solutions. We deliver both trditionl nd innovtive offerings in Property & Csulty nd Life & Helth tht meet our clients needs. A pioneer in insurnce-bsed cpitl mrket solutions, we combine finncil strength nd unprlleled expertise for the benefit of our clients. Our finncil strength is currently rted: Stndrd & Poor s: A+/positive; Moody s A1/stble; A.M. Best: A/positive 3

Swiss Re is brodly diversified by geogrphy nd product line Premiums erned 1 2010 (USD 20.6 billion) by region (in USD bn) 9.1 8.5 3.

3 Swiss Re is brodly diversified by geogrphy nd product line Premiums erned (USD 20.6 billion) by region (in USD bn) nd by product line: Specilty 13% P&C nontrditionl 2% Life 29% Life & Helth 47% Americs Europe Asi (incl. Middle Est /Afric) 44% 41% 15% Property & Csulty Property 22% Csulty 16% Helth 10% Admin Re 8% 53% Swiss Re benefits from geogrphic nd business mix diversifiction nd hs the bility to rellocte cpitl to chieve profitble growth Combines ccumulted expertise of over 147 yers nd continuing reserch with widely recognised strong trck record of innovtion 1 Includes fee income from policyholders 4

4 Swiss Re's priorities nd new corporte structure 5 Swiss Re's priorities Build on wht we re good t Outperform our peers Reinsurnce Admin Re Asset Mngement Smrt expnsion Corporte Solutions Longevity Emerging Mrkets The leding plyer in the wholesle re/insurnce industry 6

5 Orgnised to deliver consistent underwriting cross the Group Swiss Re Holding Reinsurnce Corporte Solutions Admin Re Products Underwriting qulity is core to Swiss Re's DNA 7 Objectives of new corporte structure Shrpen focus on individul client needs with three distinct Business Units with tilored strtegies nd differentited product nd service delivery to fully cpitlize on ttrctive growth opportunities Increse trnsprency over llocted cpitl nd ssets, performnce, nd vlue of individul Business Units Address proctively regultory demnd for greter trnsprency on lrge interntionl insurnce groups Increse ccountbility through full ccountbility for the entire business performnce including P&L nd blnce sheet Strengthen flexibility to cpitlise on emerging opportunities Deploy cpitl to businesses with the most economic vlue potentil 8

6 Creting vlue in wholesle reinsurnce 9 Creting vlue in wholesle re/insurnce Re/insurnce vlue drivers Swiss Re cpbilities Mrket inefficiencies t point in time Mrket inefficiencies over time Client ccess & knowledge UW insight & structuring Portfolio construction & efficiency Globl steering & delivery We spire to cpture vlue from mrket inefficiencies nd portfolio efficiency, vi fundmentl nlysis nd execution 10

7 Mrket inefficiencies t point in time Price vribility t point in time Premium Property & Csulty Life & Helth -50% 0% 50% 100% 150% Profit Mrgin fter cpitl costs & tx, 2010 The mrket is inefficient t pricing Success drivers: criticl mss nd investment in - R&D into risk fctors - Proprietry costing tools - UW trining - Metrics nd mesurement - Leverging skills cross portfolios Inefficiencies crete the opportunity for investment in outperformnce 11 Mrket inefficiencies over time (1/2) Pricing cycle over time Nturl Ctstrophe US Generl Libility?? The mrket is inefficient t pricing t consistent profit mrgin over time The mgnitude of the price cycle is extreme Success drivers Accurte costing t time of sle EVM: consistent nd comprble metrics for vlue cretion UW-yer bsis, cross ll units Structure llowing shifts between units nd over time Mrket inefficiencies crete opportunity for outperformnce 1 Source: Cmres, Council of Insurnce Agents & Brokers 12

8 Mrket inefficiencies over time (2/2) Cpturing vlue from the cycle: A trck record of steering over time P&C pricing index 1 (1994=100) 125 P&C mrgins decrese: Swiss Re expnds life business P&C mrgins increse: Swiss Re grows P&C business bove mrket P&C mrgins decrese: Swiss Re reduces P&C mrket shre : 2 nd genertion of Bermud cpcity : Windstorms Lothr & Mrtin 2001: WTC terrorist ttck 9.7% 2005: Hurricnes Ktrin, Rit, Wilm 2008: Finncil crisis Swiss Re shre of globl P&C reins. mrket 9.7% 7.7% 10.9% ~ 7% Net Premium CAGR Non life reinsurnce mrket Swiss Re P&C Swiss Re L&H 5% -0.2% 41% 1 Source: Swiss Re Economic Reserch & Consulting 2 Includes effect of 20% P&C quot shre beginning in % 13% 10% % -7% 2 0% Portfolio construction Steering towrds segments offering most vlue Net present vlue of premiums written % of portfolio 45% 40% 35% 30% 25% 20% 15% Property Csulty Life & Helth Underwriting Yer Steering is enbled by consistent, Group wide, vlue-driven metrics Swiss Re hs steered wy from Csulty in recent yers 14

9 First qurter Q Highlights High level of nturl ctstrophes Net loss USD 0.7bn vs net income USD 0.2bn in Q P&C combined rtio 163.7% Nt cts ccount for 89.4% pts Combined rtio djusted for norml expected level of nt cts nd reserve development 90.1% L&H impcted by less fvourble mortlity Strong Asset Mngement performnce RoI 4.0% Book vlue per shre CHF (USD 71.26) vs book vlue per shre of CHF (USD 74.02) t end December

10 Property & Csulty Strong underwriting results impcted by high losses from nturl ctstrophes Premiums erned Operting income/loss USD m USD m -7.8% n/ Combined rtio, trd. % 109.4% (107.8% excl. unwind) +54.3pts % (162.2% excl. unwind) Q12010 Q12011 Premiums written incresed by 11.6% reflecting successful Jnury 2011 renewls Premiums erned reflect cycle mngement ctions in 2010, unfvourble premium updtes nd impct of delyed US GAAP erning recognition Q12010 Q12011 Decrese driven by nturl ctstrophe experience, impcting the Q results by USD 2.3bn Net investment income decresed by USD 112m minly due to lower interest rtes Q12010 Q12011 Net impct from nturl ctstrophes ws 89.4% pts, which is 79.8% pts bove expected Fvourble net reserve development of 6.2% pts Adjusting for norml nt ct nd reserve development CR is 90.1% 17 Jnury nd April 2011 renewls Continued growth, high portfolio qulity mintined Jnury 2011 renewls Totl trety portfolio USD 7.00bn 100% USD 8.01bn 114% YTD 2011 renewls (Jnury April) Totl trety portfolio April 2011 renewls Totl trety portfolio Totl renewble 01 Jnury 2011 Estimted outcome USD 1.06bn USD 1.12bn 100% 105% USD 8.06bn 100% USD 9.13bn 113% Totl renewble 01 April 2011 Estimted outcome Totl renewble YTD 2011 Estimted outcome Strong price increses in April Jpnese renewls of round 20-50% for non-proportionl EQ nd round 4-10% for non EQ exposed property covers Long term price dequcy in April 2011 incresed to 117% compred to114% in April 2010 Including model djustments for incresed ner-term seismicity for Jpn EQ (ftershock risk), the long term price dequcy is 109% Nt ct events of 2010 nd Q re expected to ccelerte price improvements 1 Jnury 2011 numbers hve been remesured with current FX rtes 18

11 Life & Helth Less fvourble mortlity Operting revenues Operting income Benefit rtio 1 USD m USD m % +3.0% -41.2% +0.3 pts Q12010 Q12011 Incresed premiums nd fee income driven by growth in trditionl helth business, primrily in Asi Q12010 Q12011 Mortlity experience slightly below expecttions nd significntly less fvourble thn prior yer Morbidity experience better thn expecttions compred to unfvourble prior yer result VA nd pre-2000 GMDB loss of USD 13m (Q gin of USD 55m) 89.1% Q % Q12011 Benefit rtio stble Slight increse due to less fvourble mortlity, prtly offset by fvourble morbidity experience 1 Benefit rtio excludes the impct of VA & pre-2000 GMDB from ll periods presented 19 Asset Mngement Strong income nd improved RoI Operting income 1 Return on Investments Totl return 2 USD m % +30.8% +1.2pts -6.6pts % % 937 Q Q AM fixed income running yield of 4.0% for Q1 2011, 4.2% for Q Higher relised gins minly from securitised products nd equities Incresed investment income from rtes nd corporte bonds offset by decrese in securitised due to de-risking Durtion closely mtched 4.0% 2.8% Q Q RoI of 3.3% for rtes, 4.4% for credit nd 10.4% for equities nd lterntive investments Excluding FX impct, RoI is 4.2%. Impct is -0.2% in both Q nd Q Impirments of USD 54m minly driven by securitised products, Q1 2010: USD 90m 1 Minority interests included in operting income but excluded from the RoI nd totl return 2 Totl return includes chnge in unrelised gins/losses Q % Q Totl return of -1.3% for rtes, 4.0% for credit nd 15.7% for equities nd lterntive investments Increse in equities nd lterntive investments driven by m-t-m of underlying positions Decrese in unrelised gins due to higher interest rtes compred to yer end

12 Summry Expect to benefit from improving mrket conditions Net loss for period driven by very high level of nt cts Nt ct events expected to ccelerte mrket hrdening Renewls show continued growth nd underwriting qulity Good result in AM, portfolio in line with sset lloction mid-term pln Underlying business demonstrtes progress towrds 5 yer finncil trgets Our mrket position nd cpitl strength re competitive dvntge 21

13 Questions & nswers 22 Corporte clendr & contcts Corporte clendr 04 August 2011 Second Qurter 2011 results Conference cll 12 September 2011 Investors nd Medi meeting Monte Crlo 03 November 2011 Third Qurter 2011 results Conference cll 09 December 2011 Investors' Dy Investor Reltions contcts Hotline E-mil Eric Schuh Ross Wlker Chris Menth Simone Lieberherr Simone Fessler

14 Cutionry note on forwrd-looking sttements Certin sttements nd illustrtions contined herein re forwrd-looking. These sttements nd illustrtions provide current expecttions of future events bsed on certin ssumptions nd include ny sttement tht does not directly relte to historicl fct or current fct. Forwrd-looking sttements typiclly re identified by words or phrses such s nticipte, ssume, believe, continue, estimte, expect, foresee, intend, my increse nd my fluctute nd similr expressions or by future or conditionl verbs such s will, should, would nd could. These forwrd-looking sttements involve known nd unknown risks, uncertinties nd other fctors, which my cuse Swiss Re s ctul results, performnce, chievements or prospects to be mterilly different from ny future results, performnce, chievements or prospects expressed or implied by such sttements. Such fctors include, mong others: further instbility ffecting the globl finncil system nd developments relted thereto; chnges in globl economic conditions; Swiss Re s bility to mintin sufficient liquidity nd ccess to cpitl mrkets, including sufficient liquidity to cover potentil recpture of reinsurnce greements, erly clls of debt or debt-like rrngements nd collterl clls under derivtive contrcts due to ctul or perceived deteriortion of Swiss Re s finncil strength; the effect of mrket conditions, including the globl equity nd credit mrkets, nd the level nd voltility of equity prices, interest rtes, credit spreds, currency vlues nd other mrket indices, on Swiss Re s investment ssets; chnges in Swiss Re s investment result s result of chnges in its investment policy or the chnged composition of its investment ssets, nd the impct of the timing of ny such chnges reltive to chnges in mrket conditions; uncertinties in vluing credit defult swps nd other credit-relted instruments; possible inbility to relise mounts on sles of securities on Swiss Re s blnce sheet equivlent to its mrk-to-mrket vlues recorded for ccounting purposes; the outcome of tx udits, the bility to relise tx loss crryforwrds nd the bility to relise deferred tx ssets (including by reson of the mix of ernings in jurisdiction or deemed chnge of control), which could negtively impct future ernings; the possibility tht hedging rrngements my not be effective; the lowering or loss of finncil strength or other rtings of one or more of the compnies in the Swiss Re group or developments dversely ffecting the bility to chieve improved rtings; the cycliclity of the reinsurnce industry; uncertinties in estimting reserves; uncertinties in estimting future clims for purposes of finncil reporting, prticulrly with respect to lrge nturl ctstrophes, s significnt uncertinties my be involved in estimting losses from such events nd preliminry estimtes my be subject to chnge s new informtion becomes vilble; the frequency, severity nd development of insured clim events; cts of terrorism nd cts of wr; mortlity nd morbidity experience; policy renewl nd lpse rtes; extrordinry events ffecting Swiss Re s clients nd other counterprties, such s bnkruptcies, liquidtions nd other credit-relted events; current, pending nd future legisltion nd regultion ffecting Swiss Re or its ceding compnies, nd regultory or legl ctions; chnges in ccounting stndrds; significnt investments, cquisitions or dispositions, nd ny delys, unexpected costs or other issues experienced in connection with ny such trnsctions, including, in the cse of cquisitions, issues rising in connection with integrting cquired opertions; chnging levels of competition; opertionl fctors, including the efficcy of risk mngement nd other internl procedures in mnging the foregoing risks; nd chllenges in implementtion, dverse responses of counterprties, regultors or rting gencies, or other issues rising from, or otherwise relting to, the chnges in Swiss Re's corporte structure. These fctors re not exhustive. Swiss Re opertes in continully chnging environment nd new risks emerge continully. Reders re cutioned not to plce undue relince on forwrd-looking sttements. Swiss Re undertkes no obligtion to publicly revise or updte ny forwrd-looking sttements, whether s result of new informtion, future events or otherwise. 24 Importnt notice for holders of Swiss Re securities The bility of Swiss Re shreholders who re not resident in Switzerlnd to ccept the exchnge offer (the Exchnge Offer for Swiss Re shres ( Swiss Re Shres ) in return for shres ( HoldCo Shres ) of Swiss Re Ltd ( HoldCo ) my be ffected by the lws of the relevnt jurisdictions in which they re locted or of which they re citizens. The Exchnge Offer is not being mde, directly or indirectly, in or into ny jurisdiction outside Switzerlnd where to do so would violte the lws of tht jurisdiction or would require the preprtion of prospectus or registrtion or other qulifiction of the HoldCo Shres. This presenttion is not n offer of securities for sle, or the solicittion of n offer to cquire securities, in ny jurisdiction, including the United Sttes. Informtion for U.S. Shreholders nd U.S. ADS Holders The HoldCo Shres hve not been, nd will not be, registered under the U.S. Securities Act of 1933, s mended (the Securities Act ) or under the securities lw of ny stte or other jurisdiction of the United Sttes. The HoldCo Shres my not be offered, sold or delivered, directly or indirectly, in or into the United Sttes, except pursunt to n pplicble exemption from, or in trnsction not subject to, the registrtion requirements of the Securities Act. Accordingly, unless HoldCo is stisfied, in its sole discretion, tht HoldCo Shres cn be offered, sold or delivered to shreholder in the United Sttes pursunt to n pplicble exemption from, or in trnsction not subject to, the registrtion requirements of the Securities Act, shreholder in the United Sttes tht vlidly ccepts the Exchnge Offer will receive, in lieu of HoldCo Shres to which it would otherwise be entitled under the terms of the Exchnge Offer, the net csh proceeds of the sle of such HoldCo Shres. The Exchnge Offer is subject to Regultion 14E of the U.S. Securities Exchnge Act of 1934, s mended. The Exchnge Offer is mde in respect of the securities of Swiss compny, nd is subject to Swiss disclosure requirements. The receipt of csh considertion under the Exchnge Offer by U.S. shreholder my be txble trnsction for U.S. federl income tx purposes nd my be txble trnsction under pplicble U.S. stte nd locl, s well s foreign nd other, tx lws. Europen Economic Are; United Kingdom In the Europen Economic Are, the Exchnge Offer nd documents or other mterils in reltion to the HoldCo Shres re only ddressed to, nd re only directed t, (i) qulified investors in relevnt member stte within the mening of Article 2(1)(e) of the Prospectus Directive, s dopted in the relevnt member stte, nd (ii) persons who hold, nd will tender, the equivlent of t lest 50,000 worth of Swiss Re Shres (collectively, permitted prticipnts ). These documents my not be cted or relied upon by persons in the EEA who re not permitted prticipnts. With reference to the U.K. Finncil Services nd Mrkets Act 2000 (Finncil Promotion) Order 2005, s mended (the Order ), the Exchnge Offer nd ny mterils in reltion to the HoldCo Shres re only directed t persons in the United Kingdom tht re () investment professionls flling within Article 19(5) of the Order or who fll within Article 49(2)() to (d) of the Order; (b) holders of Swiss Re Shres t the time of communiction of the Exchnge Offer nd such mterils; or (c) persons to whom they my otherwise lwfully be communicted (collectively, relevnt persons ). In the United Kingdom, the HoldCo Shres re only vilble to, nd the Exchnge Offer my only be ccepted by, relevnt persons who re lso permitted prticipnts, nd s such, ny investment or investment ctivity to which this presenttion reltes is vilble only to, nd my be relied upon only by, relevnt persons who re lso permitted prticipnts. Informtion for Shreholders in Hong Kong This presenttion does not constitute n offer, solicittion or invittion to the public in Hong Kong to purchse HoldCo Shres. No steps hve been tken to register prospectus in Hong Kong nd the contents of this presenttion hve not been reviewed by ny regultory uthority in Hong Kong. Unless permitted to do so by the securities lws of Hong Kong, no person my issue or hve in its possession this presenttion or ny other informtion, dvertisement or document relting to the HoldCo Shres, whether in Hong Kong or elsewhere tht is directed t, or the contents of which re likely to be ccessed or red by, the public in Hong Kong other thn with respect to the HoldCo Shres tht re intended to be disposed of only to () Professionl Investors within the mening of the Securities nd Futures Ordinnce (CAP. 571) of Hong Kong nd (b) qulifying persons within the mening of the Compnies Ordinnce (CAP. 32), nd ny rules mde thereunder. You re dvised to exercise cution in reltion to the disposition of the HoldCo Shres. 25

Matthias Weber. New York, 8 June 2011

Matthias Weber. New York, 8 June 2011 2011 Globl l Finncil i Services Investor Conference Mtthis Weber Hed Property & Specilty, Member of Group Mngement Bord New York, 8 June 2011 Swiss Re is brodly diversified by geogrphy nd product line